BUG: df.sort_values w/ key function fails with multiple sort columns and Categorical sorting

[kmatarese]

• [ X] I have checked that this issue has not already been reported.

• [ X] I have confirmed this bug exists on the latest version of pandas.

• (optional) I have confirmed this bug exists on the master branch of pandas.

---

Code Sample, a copy-pastable example

import pandas as pd

df = pd.DataFrame(
    {
        "Name": ["baz", "foo", "baz", "foo", "bar", "bar", "bar"],
        "Criticality": ["High", "Critical", "Low", "Medium", "High", "Low", "Medium"],
    }
)

SEVERITY = ["Critical", "High", "Medium", "Low"]

def sorter(column):
    if column.name != "Criticality":
        return column
    cat = pd.Categorical(column, categories=SEVERITY, ordered=True)
    return pd.Series(cat)

df.sort_values(by=["Name", "Criticality"], key=sorter)

Problem description

This raises AttributeError: 'Series' object has no attribute 'categories'. If I sort by just Name, or just Criticality there are no issues. Likewise if I replace the sorter with the following it works sorting on both columns:

def sorter(column):
    if column.name != "Criticality":
        return column
    mapper = {name: order for order, name in enumerate(SEVERITY)}
    return column.map(mapper)

Expected Output

I expected to be able to do a multi-column sort when one or more of them are Categorical, or at least being sorted categorically.

Output of pd.show_versions()

INSTALLED VERSIONS

commit : 2a7d332
python : 3.7.5.final.0
python-bits : 64
OS : Darwin
OS-release : 18.0.0
Version : Darwin Kernel Version 18.0.0: Wed Aug 22 20:13:40 PDT 2018; root:xnu-4903.201.2~1/RELEASE_X86_64
machine : x86_64
processor : i386
byteorder : little
LC_ALL : None
LANG : en_US.UTF-8
LOCALE : en_US.UTF-8

pandas : 1.1.2
numpy : 1.18.2
pytz : 2019.3
dateutil : 2.8.1
pip : 19.2.3
setuptools : 41.2.0
Cython : None
pytest : 5.4.1
hypothesis : None
sphinx : 2.4.4
blosc : None
feather : None
xlsxwriter : None
lxml.etree : 4.5.0
html5lib : None
pymysql : 0.9.3
psycopg2 : 2.8.5 (dt dec pq3 ext lo64)
jinja2 : 2.11.1
IPython : None
pandas_datareader: None
bs4 : None
bottleneck : None
fsspec : None
fastparquet : None
gcsfs : None
matplotlib : None
numexpr : None
odfpy : None
openpyxl : None
pandas_gbq : None
pyarrow : None
pytables : None
pyxlsb : None
s3fs : None
scipy : None
sqlalchemy : 1.3.15
tables : None
tabulate : 0.8.7
xarray : None
xlrd : 1.2.0
xlwt : None
numba : None